The aim of this paper is to develop an alternative approach for assessing an insurer's solvency as a proposal for a standard model for Solvency II. Instead of deriving minimum capital requirements – as is done in solvency regulation – our model provides company-specific minimum standards for...

The primary objective of this work is to analyze model based Value-at-Risk associated with mortality risk arising from issued term life assurance contracts and to compare the results with the capital requirements for mortality risk as determined using Solvency II Standard Formula. In particular,...